419 lines
14 KiB
C#
419 lines
14 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Base.Implementations;
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using System.Runtime.CompilerServices;
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namespace YLErp.QdpModule
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{
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/// <summary>
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/// QDP观察条款帮助类
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/// </summary>
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public static class QdpObservationHelper
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{
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#region----在一段日期中，使用固定的期限获取一组日期----
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/// <summary>
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/// 在一段日期中，使用固定的期限获取一组日期
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/// 主要可用于生成期权的观察日
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/// </summary>
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/// <param name="startDate"></param>
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/// <param name="endDate"></param>
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/// <param name="termStr"></param>
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/// <returns></returns>
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public static DateTime[] GetDatesWithFixedTerm(
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DateTime startDate,
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DateTime endDate,
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string termStr,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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bool alignEnd = false,
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string calcMode = "01")
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{
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if (!Term.IsTerm(termStr))
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{
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return null;
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}
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return GetDatesWithFixedTerm(startDate, endDate, new Term(termStr), bdc, alignEnd, calcMode);
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}
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/// <summary>
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/// 在一段日期中，使用固定的期限获取一组日期
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/// 主要可用于生成期权的观察日
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///
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/// alignEnd为false时，生成的日期是向开始日对齐，例如:
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/// startDate=2019-09-11, endDate=2019-12-26, term=1M, bdc=None
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/// 生成的日期序列为：2019-09-11,2019-10-11,2019-11-11,2019-12-11,2019-12-26
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///
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/// alignEnd为true时，生成的日期是想结束日对齐
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/// 生成的日期序列为：2019-09-26,2019-10-26,2019-11-26,2019-12-26
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/// </summary>
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/// <param name="startDate"></param>
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/// <param name="endDate"></param>
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/// <param name="term">日期之前的间隔期限</param>
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/// <param name="bdc">遇到节假日的调整规则</param>
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/// <param name="alignEnd">生成的日期序列是否向结束日对齐</param>
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/// <param name="IncludeStartDate">是否包含开始日当天</param>
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/// <returns></returns>
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public static DateTime[] GetDatesWithFixedTerm(
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DateTime startDate,
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DateTime endDate,
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Term term,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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bool alignEnd = false,
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string calcMode = "01")
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{
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return alignEnd
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? GetDatesWithFixedTermStartAlignEnd(startDate, endDate, term, bdc, calcMode)
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: GetDatesWithFixedTermStartAlignStart(startDate, endDate, term, bdc, calcMode);
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}
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private static DateTime[] GetDatesWithFixedTermStartAlignEnd(
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DateTime startDate,
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DateTime endDate,
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Term term,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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string calcMode = "01")
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{
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var qdpStart = new Date(startDate);
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var qdpEnd = new Date(endDate);
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var dates = new List<Date>();
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var calendar = CalendarImpl.Get("chn");
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if (calcMode == "11")//算头算尾
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{
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while (qdpEnd >= qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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else if (calcMode == "10")//算头不算尾
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{
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qdpEnd = term.Prev(qdpEnd);
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while (qdpEnd >= qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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else if (calcMode == "01")//不算头算尾
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{
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while (qdpEnd > qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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else if (calcMode == "00")//不算头不算尾
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{
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qdpEnd = term.Prev(qdpEnd);
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while (qdpEnd > qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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//简单规则生成日期时，周期为空就用到期日
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if (dates.Count == 0)
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{
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dates.Add(new Date(endDate));
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}
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dates = dates.Select(d => calendar.Adjust(d, bdc)).Distinct().ToList();
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dates.Reverse();
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return dates.Select(x => x.DateTime).ToArray();
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}
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private static DateTime[] GetDatesWithFixedTermStartAlignStart(
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DateTime startDate,
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DateTime endDate,
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Term term,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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string calcMode = "01")
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{
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var qdpStart = new Date(startDate);
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var qdpEnd = new Date(endDate);
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var dates = new List<Date>();
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var calendar = CalendarImpl.Get("chn");
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if (calcMode == "11")//算头算尾
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{
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while (qdpStart <= qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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else if (calcMode == "10")//算头不算尾
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{
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while (qdpStart < qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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else if (calcMode == "01")//不算头算尾
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{
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qdpStart = term.Next(qdpStart);
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while (qdpStart <= qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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else if (calcMode == "00")//不算头不算尾
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{
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qdpStart = term.Next(qdpStart);
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while (qdpStart < qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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dates = dates.Select(d => calendar.Adjust(d, bdc)).Distinct().ToList();
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//简单规则生成日期时，周期为空就用到期日
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if (dates.Count == 0)
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{
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dates.Add(qdpEnd);
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}
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return dates.Select(x => x.DateTime).ToArray();
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}
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/// <summary>
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/// 在一段日期中，使用固定的期限获取观察日字符串
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/// </summary>
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/// <param name="startDate"></param>
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/// <param name="endDate"></param>
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/// <param name="termStr"></param>
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/// <returns></returns>
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public static string GetObservationDateString(
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DateTime startDate,
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DateTime endDate,
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string termStr,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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bool alignEnd = false)
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{
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var dates = GetDatesWithFixedTerm(startDate, endDate, termStr, bdc, alignEnd);
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return string.Join(",", dates.Select(x => x.ToString("yyyy-MM-dd")));
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}
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#endregion
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/// <summary>
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/// 为雪球返回默认的敲出观察日数据(按月观察)
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/// </summary>
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[MethodImpl(methodImplOptions: MethodImplOptions.AggressiveInlining)]
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public static DateTime[] GetDefaultKoObservationDatesForSnowbal(DateTime startDate, DateTime endDate)
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{
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return GetDatesWithFixedTerm(startDate, endDate, "1M", bdc: BusinessDayConvention.Following, alignEnd: true);
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}
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/// <summary>
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/// 为雪球返回默认的敲出观察日数据(按月观察)
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/// </summary>
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public static Date[] GetDefaultKoObservationDatesForSnowbalV2(DateTime startDate, DateTime endDate)
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{
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var monthlyDates = GetDefaultKoObservationDatesForSnowbal(startDate, endDate);
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return monthlyDates.Select(x => (Date)x).ToArray();
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}
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public static DateTime[] GetDatesWithFixedTerm(
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DateTime startDate,
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DateTime endDate,
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string termStr,
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string calendarStr,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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bool alignEnd = false,
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string calcMode = "01")
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{
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if (!Term.IsTerm(termStr))
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{
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return null;
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}
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var calendarName = string.IsNullOrEmpty(calendarStr) ? "chn" : calendarStr.ToLower();
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return GetDatesWithFixedTerm(startDate, endDate, new Term(termStr), calendarName, bdc, alignEnd, calcMode);
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}
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public static DateTime[] GetDatesWithFixedTerm(
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DateTime startDate,
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DateTime endDate,
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Term term,
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string calendarStr,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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bool alignEnd = false,
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string calcMode = "01")
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{
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var calendarName = string.IsNullOrEmpty(calendarStr) ? "chn" : calendarStr.ToLower();
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return alignEnd
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? GetDatesWithFixedTermStartAlignEnd(startDate, endDate, term, calendarName, bdc, calcMode)
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: GetDatesWithFixedTermStartAlignStart(startDate, endDate, term, calendarName, bdc, calcMode);
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}
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private static DateTime[] GetDatesWithFixedTermStartAlignEnd(
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DateTime startDate,
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DateTime endDate,
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Term term,
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string calendarName,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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string calcMode = "01")
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{
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var qdpStart = new Date(startDate);
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var qdpEnd = new Date(endDate);
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var dates = new List<Date>();
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var calendar = CalendarImpl.Get(calendarName);
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if (calcMode == "11")
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{
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while (qdpEnd >= qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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else if (calcMode == "10")
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{
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qdpEnd = term.Prev(qdpEnd);
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while (qdpEnd >= qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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else if (calcMode == "01")
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{
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while (qdpEnd > qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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else if (calcMode == "00")
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{
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qdpEnd = term.Prev(qdpEnd);
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while (qdpEnd > qdpStart)
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{
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dates.Add(qdpEnd);
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qdpEnd = term.Prev(qdpEnd);
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}
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}
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if (dates.Count == 0)
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{
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dates.Add(new Date(endDate));
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}
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dates = dates.Select(d => calendar.Adjust(d, bdc)).Distinct().ToList();
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dates.Reverse();
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return dates.Select(x => x.DateTime).ToArray();
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}
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private static DateTime[] GetDatesWithFixedTermStartAlignStart(
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DateTime startDate,
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DateTime endDate,
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Term term,
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string calendarName,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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string calcMode = "01")
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{
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var qdpStart = new Date(startDate);
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var qdpEnd = new Date(endDate);
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var dates = new List<Date>();
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var calendar = CalendarImpl.Get(calendarName);
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if (calcMode == "11")
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{
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while (qdpStart <= qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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else if (calcMode == "10")
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{
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while (qdpStart < qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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else if (calcMode == "01")
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{
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qdpStart = term.Next(qdpStart);
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while (qdpStart <= qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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else if (calcMode == "00")
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{
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qdpStart = term.Next(qdpStart);
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while (qdpStart < qdpEnd)
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{
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dates.Add(qdpStart);
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qdpStart = term.Next(qdpStart);
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}
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}
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dates = dates.Select(d => calendar.Adjust(d, bdc)).Distinct().ToList();
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if (dates.Count == 0)
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{
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dates.Add(qdpEnd);
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}
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return dates.Select(x => x.DateTime).ToArray();
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}
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public static ObservationSettleDateResult[] GetObservationAndSettleDates(
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DateTime startDate,
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DateTime endDate,
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string termStr,
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string calendarStr,
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int settlementRules,
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BusinessDayConvention bdc = BusinessDayConvention.None,
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bool alignEnd = false,
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string calcMode = "01")
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{
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if (!Term.IsTerm(termStr))
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{
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return null;
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}
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var calendarName = string.IsNullOrEmpty(calendarStr) ? "chn" : calendarStr.ToLower();
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var calendar = CalendarImpl.Get(calendarName);
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var term = new Term(termStr);
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DateTime[] observationDates = alignEnd
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? GetDatesWithFixedTermStartAlignEnd(startDate, endDate, term, calendarName, bdc, calcMode)
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: GetDatesWithFixedTermStartAlignStart(startDate, endDate, term, calendarName, bdc, calcMode);
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var results = new List<ObservationSettleDateResult>();
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foreach (var obsDate in observationDates)
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{
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var settleDate = obsDate.AddDays(settlementRules);
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settleDate = calendar.Adjust(new Date(settleDate), bdc).DateTime;
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results.Add(new ObservationSettleDateResult
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{
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ObservationDate = obsDate,
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SettleDate = settleDate
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});
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}
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return results.ToArray();
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}
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}
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public class ObservationSettleDateResult
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{
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public DateTime ObservationDate { get; set; }
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public DateTime SettleDate { get; set; }
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}
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}
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